Kumar, Ronald Ravinesh; Stauvermann, Peter - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-27
approaches to develop portfolios under different scenarios. We consider the mean-variance, minimum variance, semi-variance … results. In a semi-variance analysis (where we account for downside risk only), equally weighted portfolio yields superior … decent expected returns. The optimized portfolio under mean-variance, semi-variance, and utility are presented as alternative …